spd (version 2.0-1)

GPDFIT-class: Class: Generalized Pareto Distribution

Description

Locally implemented and slightly modified class for the generalized pareto distribution (gpd) fit, borrowed from package fExtremes. Created on modelling the tails of the data by spdfit

Objects from the Class

Objects of this class cannot be created by user as the methods are not exported.

Slots

call:

Object of class "call"

method:

Object of class "character"

parameter:

Object of class "list"

data:

Object of class "list"

fit:

Object of class "list"

residuals:

Object of class "numeric"

title:

Object of class "character"

description:

Object of class "character"

References

Carmona, R. and J. Morrisson (2001). Heavy Tails and Copulas with Evanesce, ORFE Tech. Report, Princeton University Carmona, R. (2001). Statistical Analysis of Financial Data, with an implementation in Splus Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer